[Returnanalytics-commits] r3624 - in pkg/FactorAnalytics: R man
noreply at r-forge.r-project.org
noreply at r-forge.r-project.org
Fri Mar 20 23:45:36 CET 2015
Author: chenyian
Date: 2015-03-20 23:45:36 +0100 (Fri, 20 Mar 2015)
New Revision: 3624
Modified:
pkg/FactorAnalytics/R/plot.tsfmUpDn.r
pkg/FactorAnalytics/man/plot.tsfmUpDn.Rd
Log:
fine tuning of plot.tsfmUpDn.r for line types, colors, width and the legend.
Modified: pkg/FactorAnalytics/R/plot.tsfmUpDn.r
===================================================================
--- pkg/FactorAnalytics/R/plot.tsfmUpDn.r 2015-03-20 19:48:33 UTC (rev 3623)
+++ pkg/FactorAnalytics/R/plot.tsfmUpDn.r 2015-03-20 22:45:36 UTC (rev 3624)
@@ -13,18 +13,21 @@
#' @param x an object of class \code{tsfmUpDn} produced by \code{fitTsfmUpDn}.
#' @param asset.name A vector of character to show single or multiple assets names. The defualt if
#' \code{NULL}.
-#' @param line.color A vector of color codes of up/dn fitted line. The first color is for the object fitted
-#' line and the second color for the comparison fitted line. The default is \code{c("blue","purple")}.
-#' @param line.type The line type of up/dn fitted values. The default is \code{"dotted"}.
+#' @param line.color A vector of color codes of up/dn fitted line. The first element is for the object fitted
+#' line and the second for the comparison fitted line. The default is \code{c("blue","purple")}.
+#' @param line.type A vector of line types of up/dn fitted line. The first is for the object fitted
+#' line and the second for the comparison fitted line. The default is \code{c("dashed","solid"}.
+#' @param line.width A vector of line width of up/dn fitted line. The first element is for the object fitted
+#' line and the second element for the comparison fitted line. The default is \code{c(1,2}.
#' @param add.legend A logic flag to add a legend. The default is \code{TRUE}.
#' @param SFM.line A logic flag to add a fitted single factor model. The default is \code{FALSE}.
-#' @param LSnRob A logic flag to add a comparison Up/Down factor model. If the original model
+#' @param sfm.line.type SFM line type. The default is \code{"dashed"}
+#' @param LSandRob A logic flag to add a comparison Up/Down factor model. If the original model
#' is \code{"LS"}, the comparison model is \code{"Robust"} and vice versa. The default is \code{FALSE}.
#' The default is \code{FALSE}.
#' @param legend.loc The default is \code{"topleft"}.
#' @param legend.cex \code{cex} of \code{legend}.
-#'
-#' @param ... Other arguments can be used in \code{plot}.
+#' @param ... Other arguments can be used in \code{plot}. Please refer to \code{plot}.
#' @author Yi-An Chen
#'
#' @seealso \code{\link{fitTsfmUpDn}}
@@ -46,17 +49,17 @@
#' plot(fitUpDn,SFM.line=TRUE,asset.name="HAM1")
#'
#' # add Robust Up/Dn model fitted line and change legend to show the robust up/dn Beta
-#' plot(fitUpDn,LSnRob=TRUE,asset.name="HAM1")
+#' plot(fitUpDn,LSandRob=TRUE,asset.name="HAM1")
#'
#'
#' @method plot tsfmUpDn
#' @export
-plot.tsfmUpDn <- function(x,asset.name=NULL,SFM.line=FALSE,LSnRob=FALSE,
- line.color=c("blue","purple"),line.type="dotted",
- add.legend=TRUE,legend.loc="topleft",legend.cex=0.9,
- ...) {
+plot.tsfmUpDn <- function(x,asset.name=NULL,SFM.line=FALSE,LSandRob=FALSE,
+ line.color=c("blue","purple"),line.type=c("dashed","solid"),
+ line.width=c(1,2),sfm.line.type = "dashed",
+ add.legend=TRUE,legend.loc="topleft",legend.cex=0.9,...) {
# specify the name of market returns and the assets returns
mkt.name = x$Up$factor.names
@@ -74,7 +77,7 @@
# add LS/Robust Up/Dn comparison
- if (LSnRob) {
+ if (LSandRob) {
fit.methods <- c("LS","Robust")
x$call$fit.method <- fit.methods[!fit.methods%in%x$Up$fit.method]
x.alt <- eval(x$call)
@@ -97,8 +100,8 @@
rbind(coredata(plotDataUp$ActualUp),coredata(plotDataDn$ActualDn)),
xlab=mkt.name,ylab=assets.name,...)
abline(v=0)
- lines(coredata(plotDataUp$MktUp),coredata(plotDataUp$FittedUp),col=line.color[1],lty=line.type)
- lines(coredata(plotDataDn$MktDn),coredata(plotDataDn$FittedDn),col=line.color[1],lty=line.type)
+ lines(coredata(plotDataUp$MktUp),coredata(plotDataUp$FittedUp),col=line.color[1],lty=line.type[1],lwd=line.width[1])
+ lines(coredata(plotDataDn$MktDn),coredata(plotDataDn$FittedDn),col=line.color[1],lty=line.type[1],lwd=line.width[1])
abline(h=0)
up.beta <- round(summary(x$Up)$sum.list[[assets.name]]$coefficients[mkt.name,1:2],2)
@@ -108,19 +111,19 @@
# add LS line
if (SFM.line){
- lines(coredata(plotDataSf[,mkt.name]),coredata(plotDataSf[,assets.name]),lty="dotted")
+ lines(coredata(plotDataSf[,mkt.name]),coredata(plotDataSf[,assets.name]),lty=sfm.line.type)
# legend.name = paste(fit.method,"fitted line",seq="")
}
# add alternative Up/Dn model for comparison
- if (LSnRob){
+ if (LSandRob){
plotDataUp.alt <- merge.xts(x.alt$Up$data[,c(assets.name,mkt.name)], fitted(x.alt$Up)[,assets.name])
colnames(plotDataUp.alt) <- c("ActualUp","MktUp","FittedUp")
plotDataDn.alt <-merge.xts(x.alt$Dn$data[,c(assets.name,mkt.name)], fitted(x.alt$Dn)[,assets.name])
colnames(plotDataDn.alt) <- c("ActualDn","MktDn","FittedDn")
- lines(coredata(plotDataUp.alt$MktUp),coredata(plotDataUp.alt$FittedUp),col=line.color[2],lty=line.type)
- lines(coredata(plotDataDn.alt$MktDn),coredata(plotDataDn.alt$FittedDn),col=line.color[2],lty=line.type)
+ lines(coredata(plotDataUp.alt$MktUp),coredata(plotDataUp.alt$FittedUp),col=line.color[2],lty=line.type[2],lwd=line.width[2])
+ lines(coredata(plotDataDn.alt$MktDn),coredata(plotDataDn.alt$FittedDn),col=line.color[2],lty=line.type[2],lwd=line.width[2])
up.beta.alt <- round(summary(x.alt$Up)$sum.list[[assets.name]]$coefficients[mkt.name,1:2],2)
@@ -132,22 +135,32 @@
if (add.legend){
- if (LSnRob){
+ if (LSandRob){
if (x$call$fit.method=="Robust") {
- beta.legend = c("Up Beta","Dn Beta","Up BetaRob","Dn BetaRob")
+ beta.legend = c(paste("Up Beta"," =",up.beta,seq=""),
+ paste("Up BetaRob =",up.beta.alt,seq=""),
+ paste("Dn Beta"," =",dn.beta,seq=""),
+ paste("Dn BetaRob =",dn.beta.alt,seq=""))
} else {
- beta.legend = c("Up BetaRob","Dn BetaRob","Up Beta","Dn Beta")
+ beta.legend = c("Up BetaRob","Up Beta","Dn BetaRob","Dn Beta")
+ beta.legend = c(paste("Up BetaRob =",up.beta.alt,seq=""),
+ paste("Up Beta"," =",up.beta,seq=""),
+ paste("Dn BetaRob =",dn.beta.alt,seq=""),
+ paste("Dn Beta"," =",dn.beta,seq=""))
+
}
- legend.txt = c(beta.legend,up.beta,dn.beta,up.beta.alt,dn.beta.alt)
- legend(legend.loc,legend=legend.txt,ncol=2,cex=legend.cex,bty="n")
+ legend(legend.loc,legend=beta.legend,ncol=1,cex=legend.cex,bty="n",lty=rep(line.type,2),col=rep(line.color,2))
} else {
if (x$Up$fit.method=="Robust") {
- beta.legend = c("Up BetaRob","Dn BetaRob")
+ beta.legend = c(paste("Up BetaRob =",up.beta.alt,seq=""),
+ paste("Dn BetaRob =",dn.beta.alt,seq=""))
} else {
beta.legend = c("Up Beta","Dn Beta")
+ beta.legend = c(paste("Up Beta =",up.beta,seq=""),
+ paste("Dn Beta =",dn.beta,seq=""))
}
- legend.txt = c(beta.legend,up.beta,dn.beta)
- legend(legend.loc,legend=legend.txt,ncol=2,cex=legend.cex,bty="n")
+
+ legend(legend.loc,legend=beta.legend,ncol=1,cex=legend.cex,bty="n")
}
# legend.lty = c(line.type,NA,NA,line.type,NA,NA)
# legend.col = c(line.col,NA,NA,line.col,NA,NA)
Modified: pkg/FactorAnalytics/man/plot.tsfmUpDn.Rd
===================================================================
--- pkg/FactorAnalytics/man/plot.tsfmUpDn.Rd 2015-03-20 19:48:33 UTC (rev 3623)
+++ pkg/FactorAnalytics/man/plot.tsfmUpDn.Rd 2015-03-20 22:45:36 UTC (rev 3624)
@@ -5,8 +5,10 @@
\title{Plot actual against fitted values of up and down market time series factor model}
\usage{
\method{plot}{tsfmUpDn}(x, asset.name = NULL, SFM.line = FALSE,
- LSnRob = FALSE, line.color = c("blue", "purple"), line.type = "dotted",
- add.legend = TRUE, legend.loc = "topleft", legend.cex = 0.9, ...)
+ LSandRob = FALSE, line.color = c("blue", "purple"),
+ line.type = c("dashed", "solid"), line.width = c(1, 2),
+ sfm.line.type = "dashed", add.legend = TRUE, legend.loc = "topleft",
+ legend.cex = 0.9, ...)
}
\arguments{
\item{x}{an object of class \code{tsfmUpDn} produced by \code{fitTsfmUpDn}.}
@@ -16,22 +18,28 @@
\item{SFM.line}{A logic flag to add a fitted single factor model. The default is \code{FALSE}.}
-\item{LSnRob}{A logic flag to add a comparison Up/Down factor model. If the original model
+\item{LSandRob}{A logic flag to add a comparison Up/Down factor model. If the original model
is \code{"LS"}, the comparison model is \code{"Robust"} and vice versa. The default is \code{FALSE}.
The default is \code{FALSE}.}
-\item{line.color}{A vector of color codes of up/dn fitted line. The first color is for the object fitted
-line and the second color for the comparison fitted line. The default is \code{c("blue","purple")}.}
+\item{line.color}{A vector of color codes of up/dn fitted line. The first element is for the object fitted
+line and the second for the comparison fitted line. The default is \code{c("blue","purple")}.}
-\item{line.type}{The line type of up/dn fitted values. The default is \code{"dotted"}.}
+\item{line.type}{A vector of line types of up/dn fitted line. The first is for the object fitted
+line and the second for the comparison fitted line. The default is \code{c("dashed","solid"}.}
+\item{line.width}{A vector of line width of up/dn fitted line. The first element is for the object fitted
+line and the second element for the comparison fitted line. The default is \code{c(1,2}.}
+
+\item{sfm.line.type}{SFM line type. The default is \code{"dashed"}}
+
\item{add.legend}{A logic flag to add a legend. The default is \code{TRUE}.}
\item{legend.loc}{The default is \code{"topleft"}.}
\item{legend.cex}{\code{cex} of \code{legend}.}
-\item{...}{Other arguments can be used in \code{plot}.}
+\item{...}{Other arguments can be used in \code{plot}. Please refer to \code{plot}.}
}
\description{
Generic \code{plot} method for object of class \code{tsfmUpDn}.
@@ -60,7 +68,7 @@
plot(fitUpDn,SFM.line=TRUE,asset.name="HAM1")
# add Robust Up/Dn model fitted line and change legend to show the robust up/dn Beta
- plot(fitUpDn,LSnRob=TRUE,asset.name="HAM1")
+ plot(fitUpDn,LSandRob=TRUE,asset.name="HAM1")
}
\author{
Yi-An Chen
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